Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0235
Annualized Std Dev 0.2274
Annualized Sharpe (Rf=0%) -0.1035

Row

Daily Return Statistics

Close
Observations 3306.0000
NAs 1.0000
Minimum -0.1986
Quartile 1 -0.0015
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0021
Maximum 0.2248
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0143
Skewness 0.7530
Kurtosis 64.4976

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0132
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.6954
Historical VaR (95%) -0.0100
Historical ES (95%) -0.0324
Modified VaR (95%) -0.0017
Modified ES (95%) -0.0017
From Trough To Depth Length To Trough Recovery
2008-02-07 2009-03-06 NA -0.6954 3303 272 NA
2008-02-04 2008-02-05 2008-02-06 -0.0102 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 1.3 -1.6 0.2 -0.1 0.2 -2.8 0.4 0.9 7.6 1.9 -2.6 -2.7 2.4
2009 -1 -3.8 0 -0.8 0.5 0.2 0.6 -0.9 -0.4 -0.3 0.3 0.1 -5.5
2010 0.9 0.1 -0.2 0 0 0.2 0.1 0.4 0.1 0 0.3 0.6 2.7
2011 0.4 0.1 0.1 0.1 -0.1 0.1 1 0.2 -0.2 -1.1 -0.3 0.1 0.4
2012 0.3 0 -0.2 0.1 -0.6 -0.1 -0.2 0.1 0.1 0.1 0.1 0.3 0
2013 0.2 -0.1 -0.1 -0.1 -1.1 0.4 -0.6 0.2 -0.2 -0.2 0.2 -0.1 -1.4
2014 0 -0.2 0.4 0.3 -0.2 0 -0.3 0.1 -0.4 0.2 -0.4 0.3 -0.3
2015 0.1 0.2 -0.4 -0.1 -0.3 0.1 0.1 -0.4 -0.2 0 0.2 0.1 -0.6
2016 0 0.4 -1.1 0.2 0.3 0 -0.1 -0.1 0.3 -0.3 -0.7 0 -1.2
2017 -0.1 -0.3 0.2 0.1 0.2 0.1 0.2 0.1 -0.1 0.1 0.1 -0.2 0.6
2018 -0.4 -0.1 0.4 0 0.2 0.2 -0.4 0.2 -0.8 0.2 -0.4 1 0
2019 0 0.5 0.6 0.3 -0.2 -0.1 0.1 0 -0.2 -0.2 -0.3 0.1 0.6
2020 0 -1.6 -4.6 -1.1 0.3 0.4 0.3 -0.1 0.9 -0.1 -0.1 0.4 -5.3
2021 0.4 0.2 0.7 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-01-31  20.4 SPY    137.  0.0182   0.0176  -0.0605  -0.102   -0.0444    0.170    0.588 GLD    91.4 -0.0072   0.0147
2 2008-02-01  20.6 SPY    140.  0.0161   0.0492  -0.0369  -0.0974  -0.0348    0.181    0.653 GLD    89.3 -0.0224  -0.0105
3 2008-02-04  20.4 SPY    138. -0.0126   0.0191  -0.0486  -0.0875  -0.0483    0.159    0.601 GLD    89.1 -0.0028  -0.0289
4 2008-02-05  20.4 SPY    134. -0.0268  -0.0131  -0.0508  -0.113   -0.074     0.125    0.556 GLD    87.7 -0.0159  -0.0381
5 2008-02-06  20.9 SPY    133. -0.0081  -0.0138  -0.0577  -0.113   -0.0817    0.118    0.558 GLD    88.9  0.0145  -0.0338
6 2008-02-07  20.6 SPY    134.  0.0066  -0.025   -0.0359  -0.119   -0.0777    0.114    0.578 GLD    89.8  0.0101  -0.017 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart